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Analyzing nonstationary financial time series via hilbert-huang transform (HHT)
   
Document Number
US Patent 7464006
Issued Date
December 9, 2008
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Abstract
An apparatus, computer program product and method of analyzing non-stationary time varying phenomena. A representation of a non-stationary time varying phenomenon is recursively sifted using Empirical Mode Decomposition (EMD) to extract intrinsic mode functions (IMFs). The representation is filtered to extract intrinsic trends by combining a number of IMFs. The intrinsic trend is inherent in the data and identifies an IMF indicating the variability of the phenomena. The trend also may be used to detrend the data.
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Number of Claims:
10
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Published
December 9, 2008
Application Number
10/963,470
Filed
October 7, 2004
US Classification
702/190  
Int'l Classification
G06F   15/00   (20060101)   H04B   15/00   (20060101)  
Parent Case
CROSS REFERENCE TO RELATED APPLICATIONS The present application is a continuation of U.S. Provisional Patent Application Ser. No. 60/510,678 filed Oct. 9, 2003 and related to U.S. Pat. No. 6,782,124 entitled "Three Dimensional Empirical Mode Decomposition Analysis Apparatus Method and Article of Manufacture" to Per Gloersen, assigned to the assignee of the present invention.
USPTO Field of Search
702/66   702/67   702/69   702/70   702/189   702/190   702/191   702/195   382/154   382/190   382/191  
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